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Showing 1 - 10 of 88 entries

  1. BLOG

    Did Bonds Deliver? Leveraging Fixed Income During the COVID Crisis 

    Jul 29, 2020 Juan Sampieri , Andy Sparks

    Fixed Income , Risk Management

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    Investors may employ leverage with lower-risk asset classes such as bonds to seek higher risk and returns. We assessed the effects of leverage on the returns of three hypothetical multi-asset-class portfolios during the COVID-19 crisis.

  2. BLOG

    Corporate Bonds Through a Factor and ESG Lens 

    Jul 20, 2020 Rohit Mendiratta , Hitendra D Varsani

    ESG Research , Factor Indexes , Factor Investing , Factors , Fixed Income , Risk Management

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    COVID-19 has had a profound impact on how companies manage cash flows and liquidity. Bond investors face the possibility of increased leverage, rating downgrades and defaults. Can factors and ESG metrics shed light on these risks?

  3. BLOG

    Up in Smoke? Brazil’s Wildfires May Affect Bond Spreads 

    Jul 10, 2020 Hamed Faquiryan , Mario López-Alcalá

    ESG Research , Fixed Income , Risk Management

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    Clearing Brazilian forests to make way for agriculture may spur a backlash to soy and beef producers if purchasers impose deforestation-free rules. What are the potential implications for debt of affected companies and for Brazilian sovereign debt?

  4. BLOG

    Surging Corporate-Bond Supply: Reason to Worry? 

    Jul 1, 2020 Andy Sparks , Gergely Szalka

    Fixed Income , Risk Management

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    In the months since the onset of the COVID-19 pandemic, companies issued a large amount of corporate bonds. As a result of this surge, corporate debt has grown substantially — a burden that institutional credit investors may wish to monitor closely.

  5. BLOG

    Can AI Model the Complexities of MBS Prepayment? 

    May 29, 2020 Joy Zhang , Yini Yang

    Fixed Income , Risk Management

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    Machine learning using neural networks has been successfully applied to fields in which extremely complex patterns can prove challenging for other algorithms. Are neural networks suited for modeling prepayment risk in agency mortgage-backed securities?

  6. BLOG

    Four COVID-19 Scenarios: What Might Happen Next? 

    May 21, 2020 Thomas Verbraken , Juan Sampieri

    Fixed Income , Risk Management

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    Our latest COVID-19 stress test looks at four potential financial-market outcomes ranging from a swift V-shaped recovery to a pessimistic L-shaped scenario, in which outbreaks recur and lockdowns return well into 2021.

  7. BLOG

    Using Risk Analytics to Highlight Opportunities in Volatile Markets 

    May 18, 2020 Michael Hayes

    Risk Management , Fixed Income

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    Risk analytics can serve many functions for an institutional investor, including compliance, risk management, portfolio management and trading and strategy development. They may also highlight new opportunities that may be unique to volatile markets.

  8. BLOG

    Consumer ABS Under Coronavirus in the US and China 

    May 11, 2020 Yini Yang , Jian Chen , Joy Zhang

    Emerging Markets , Fixed Income , Global Investing , Risk Management

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    Beyond COVID-19’s steep human toll, the pandemic’s disruption of economic life has led to widespread loss of income and impaired some borrowers’ ability to repay loans. What could the impact be for investors in consumer asset-backed securities in the U.S. and China?

  9. BLOG

    Credit in the COVID Crisis: Contagion, Valuation, Default 

    May 6, 2020 Hamed Faquiryan , Reka Janosik , Andras Rokob

    Fixed Income , Risk Management

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    As the COVID-19 crisis unfolded, credit markets deteriorated under the stress of a sharply diminished economic outlook. We analyze three indicators of credit-market conditions: default risk, relative value and contagion risk.

Showing 1 - 10 of 88 entries